From the Back Cover
How to Understand--and Take Advantage of--Arbitrage Opportunities in Modern Financial Markets
The Complete Arbitrage Deskbook explains every aspect of the types, instruments, trading practices, and opportunities of modern equity arbitrage. It travels beyond U.S. borders to examine the worldwide opportunities inherent in arbitrage activities and demonstrates how to understand and practice equity arbitrage in the global professional environment.
Written specifically for traders, risk managers, brokers, regulators, and anyone looking for a comprehensive overview of the field of equity arbitrage, this groundbreaking reference provides:
- Details of the financial instruments used in equity arbitrage--stocks, futures, money markets, and indices
- Explanations of financial valuation and risk analysis, tailored to the characteristics of the underlying position and market environment
- Examples of actual arbitrage situations--presenting a real-life snapshot of equity arbitrage in action
The Complete Arbitrage Deskbook is the only book to combine operational details with practical analysis of modern equity arbitrage. Concise in explanation yet comprehensive in scope, it provides an integrated overview of both the practices and the possibilities of the modern equity arbitrage marketplace.
"Through the examination of actual examples and practical situations, the goal is to achieve an integrated view of arbitrage opportunities, precisely as a trader would see them..."
--From the Introduction
When used with skill and caution, equity arbitrage--despite relentlessly negative press and widespread popular misconceptions--is a very low-risk strategy. It only becomes perilous in the hands of the inexperienced or overconfident. The Complete Arbitrage Deskbook provides anyone--from capital market professionals to private traders to non-professionals with a serious interest in understanding Wall Street and its intricacies--with a safe, solid foundation in the essential knowledge of equity arbitrage trading.
Before you can successfully employ equity arbitrage in the marketplace, you must first develop a complete understanding of its mathematics and practice. The Complete Arbitrage Deskbook covers every aspect--mechanics, opportunities, risks, and valuation principles--to help you move forward with knowledge and confidence. In-depth descriptions and demonstrations of each pertinent financial instrument--stocks, futures and other derivatives, money market instruments including interest rate swaps, and stock indices--show you what you need to know to manage these and where to focus your attention in terms of risk management. Detailed sections provide hands-on information about:
- Convergence continuums
- Cross-exchange listing
- Closed-end and convertible funds
- Holding companies
- Oscillators
- Mark-to-market versus theoretical valuation
- Valuation and random variables
- Risk management principles and tools, including value-at-risk
- Index arbitrage and absolute convergence
- Risk arbitrage and explicit convergence
- Pair trading and technical trading
Fallacies about what arbitrage is--and is not--are common among financial professionals. Concise yet comprehensive, The Complete Arbitrage Deskbook sidesteps fallacy to present fact. It is the only comprehensive overview of the opportunities and perils in the arbitrage markets--and today's only complete overview and practical analysis of modern equity arbitrage.
Reverre, Stephane: -
Stephane Reverre works for Leading Market Technologies, specializing in analytical tools for institutional investors. He is the former head of index arbitrage and quantitative trading for the Tokyo and later New York offices of Société Générale, one of the largest French banks and a leader in the field of equity derivative trading. A graduate of École Central in Paris as well as the Harvard Business School MBA program, Reverre has provided consulting services for software and trading companies and has published numerous articles on equity arbitrage in specialized magazines and publications.
